That is a pretty general question, so let me make sure that you have access to the basics. Here: http://www.uesp.net/wiki/Oblivion:Enchanting
Remember that while you can use the enchanting altar to put multiple effects onto weapons, you can only self enchant (altar, sigil stone) one effect onto a piece of apparel. The game has apparel with more than one enchantment (like some of the KOTN stuff for example), but you can only self enchant one effect on apparel.
Your best options depend very much on your character. Some good effects to consider are: Shock shield, Fire shield, Frost shield, Fortify magicka. The level 17+ sigil stones often provide the strongest enchantments for apparel.